AI
Friday, December 23, 2011 5:20:41 PM
Hi Toofuzzy
The longer term S&P500 dividend yield is around 4% http://www.multpl.com/s-p-500-dividend-yield/ Generally the inverse of that indicates the modified duration 1 / 0.04 = 25 - which is an indicator of how volatile the asset is to each 1% change in yield.
For zero coupon bonds such as EDV or ZROZ that have 25 years, the modified duration is equal to the duration = 25
EDV and ZROZ are more volatile than TLT, but perhaps a better match as a counter balance for stocks in general (having a similar average modified duration).
With similar volatility to S&P500, you might use similar AIM settings as you would for the S&P500.
Its quite interesting to watch how 3x stocks, gold and LTT's move over time
Even at the intra-day level they often move in a somewhat mirror image motion between stocks and LTT's.
Merry Xmas. Clive.
The longer term S&P500 dividend yield is around 4% http://www.multpl.com/s-p-500-dividend-yield/ Generally the inverse of that indicates the modified duration 1 / 0.04 = 25 - which is an indicator of how volatile the asset is to each 1% change in yield.
For zero coupon bonds such as EDV or ZROZ that have 25 years, the modified duration is equal to the duration = 25
EDV and ZROZ are more volatile than TLT, but perhaps a better match as a counter balance for stocks in general (having a similar average modified duration).
With similar volatility to S&P500, you might use similar AIM settings as you would for the S&P500.
Its quite interesting to watch how 3x stocks, gold and LTT's move over time
Even at the intra-day level they often move in a somewhat mirror image motion between stocks and LTT's.
Merry Xmas. Clive.
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